The Unicorn is a myth in Red Dead Redemption's Undead Nightmare DLC.
Description[]
The Unicorn was rumored to be located somewhere in Mexico by many locals. In Undead Nightmare, once the player has killed the Chupacabra and tamed all of the Four Horses of the Apocalypse, they can find and capture the Unicorn in Torquemada, just below the symbol of three horses on the map. Because it is able to be found, the myth is proven.
Video[]
Red Dead Redemption - Unicorn Location Guide